The Discoteca Ayala is a genuine natural cave on the hill above Trinidad that has been operating as a nightclub since the 1970s. You reach it by a ten-minute uphill walk from the centre; the cave entrance opens into a surprisingly large chamber with stalactites overhead, coloured lights, a dance floor, and a bar. The music is loud, the drinks are rum-based, and the combination of underground rock ceiling and the rhythms of Cuban dance music is something you will not find anywhere else.
It gets busy from around 10pm and runs until 2 or 3am. Local guides outside town are happy to direct you to it, and it appears on most maps. The walk up the hill is dark — bring a light and go with others if you are uncertain about the path. Entry fee is modest; drinks are cheap. Whatever you think of cave discos in theory, in practice it is one of the more memorable things to do in Trinidad.